Why? This is normally done when transmitting data in html forms. For example, the # character has a special purpose in html (as an html anchor) and so is converted to make it clear that it is part of that data, not part of the html document where it is to be displayed.

Another (related) use is for prevention of XSS attacks. If your web page allows a user to enter text (for example, a comments box on a blog), it would be very easy for a motivated user to enter malicious text that will be interpreted as a script.